The decomposition of portfolio risks in terms of the underlying assets, which are extremely important for risk budgeting, asset allocation and risk monitoring, is well described by risk contributions.

Finite-Difference Time-Domain (FDTD) methods have become a cornerstone in the numerical solution of Maxwell’s equations, enabling detailed electromagnetic analysis across a wide range of applications.

Finite-Difference Time-Domain (FDTD) methods have long served as a workhorse for simulating electromagnetic wave propagation. In dispersive media, where material responses vary with frequency, the ...

Developed a CUDA version of the FDTD method and achieved a speedup 40x. Implemented on a NVIDIA Quadro FX 3800 GPU, which has 192 SPs, 1GB global memory, and a memory bandwidth of 51.2 GB/s.

We develop here a finite-difference approach for valuing a discretely sampled variance swap within an extended Black–Scholes framework. This approach incorporates the observed volatility skew and is ...

My main research interests are in developing, analyzing, and implementing numerical methods, in particular for solving PDEs to high orders of accuracy. Such methods include pseudospectral and high ...